I can use CS-2 to create a web photo gallery using unmodified RAW files, this seems to work fine.

However, after I tweak the exposure of a RAW file and a .xmp file has been created, if I try to create a web photo gallery, the program goes through the motions but no thumbnails or (bigger) jpg files are created. The resulting web photo gallery pages are just filled with broken link icons.

If it is a web gallery, you should seriously consider down rezzing your photos for the sake of viewers. I don't know what kind of camera you are shooting with, but my Nikons shoot roughly 3000 x 2000 pixel images that consume about 13 MB, if I recall correctly. Since most browsers are set to 800 x 600 or (at the higher end) 1200 x 800, you are transmitting a lot of data you don't need to and letting the browser scale the image instead of doing it yourself in PS where you can control it and sharpen appropriately. Resize the image for the web in PS and use those... I use mostly 400 x 600 pixel images for web use and they clock in (at a jpg quality setting of 7) at about 50kb--about 1/250th the size of a raw file...

I believe it may be to do with the sidecar files. My girlfriend has similar issues on Windows XP.
I have tried to recreate the problem here (on Mac OSX) but it all works fine for me, so i can't fully test it, but here is what i believe may be happening....
The sidecar file has the same name as the actual raw file (except the extension of course), so when the web gallery script is processing it, it does the raw file, then overwrites by trying to process the xmp file as an image, but of course it can't and then you end up with no image file in your thumbnail, or image directories in the web gallery for that image.

Two options you can try...
1) go into bridge and select the images to process in there (xmp files shouldn't show up there) and then use the Tools/Photoshop menu to access the WGB and choose 'Selected Bridge Images' as the source. (this has been tested successfully on win xp)
2) in the camera raw plugin, go into preferences and change the 'sidecar xmp' option to 'camera raw database'. You will then probably need to delete any sidecar files for the folder you wish to process and reapply your raw adjustments. If the problem is what i suspect (as above) this should also work, though i haven't been able to test.

Obviously you don't need to worry about the 'down rezzing' mentioned above as the web gallery builder should already be doing this for you...unless you changed it.